Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0001 |
| Annualized Std Dev | 0.0064 |
| Annualized Sharpe (Rf=0%) | -0.0123 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3476.0000 |
| NAs | 1.0000 |
| Minimum | -0.0043 |
| Quartile 1 | -0.0001 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0001 |
| Maximum | 0.0044 |
| SE Mean | 0.0000 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0000 |
| Variance | 0.0000 |
| Stdev | 0.0004 |
| Skewness | -1.8928 |
| Kurtosis | 36.4010 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0003 |
| Gain Deviation | 0.0003 |
| Loss Deviation | 0.0005 |
| Downside Deviation (MAR=210%) | 0.0083 |
| Downside Deviation (Rf=0%) | 0.0003 |
| Downside Deviation (0%) | 0.0003 |
| Maximum Drawdown | 0.0123 |
| Historical VaR (95%) | -0.0004 |
| Historical ES (95%) | -0.0011 |
| Modified VaR (95%) | -0.0006 |
| Modified ES (95%) | -0.0006 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-09-30 | 2015-12-09 | NA | -0.0123 | 3140 | 1812 | NA |
| 2008-09-18 | 2008-09-19 | 2008-09-29 | -0.0063 | 8 | 2 | 6 |
| 2007-08-21 | 2007-10-02 | 2008-09-17 | -0.0056 | 272 | 30 | 242 |
| 2007-07-02 | 2007-08-03 | 2007-08-20 | -0.0050 | 35 | 24 | 11 |
| 2007-06-12 | 2007-06-12 | 2007-06-13 | -0.0009 | 2 | 1 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | 0 | 0 | -0.4 | 0 | -0.2 | -0.3 | 0 | 0 | -0.9 |
| 2008 | -0.3 | 0 | -0.2 | 0 | 0 | -0.1 | -0.2 | 0 | -0.2 | -0.1 | 0.2 | -0.2 | -1 |
| 2009 | 0.1 | 0.1 | 0 | 0 | -0.1 | 0 | -0.1 | -0.1 | -0.1 | 0 | 0 | 0 | 0 |
| 2010 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | -0.1 |
| 2011 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| 2012 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | -0.1 |
| 2013 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | -0.1 |
| 2014 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.1 |
| 2015 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | -0.1 |
| 2016 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| 2017 | 0 | -0.1 | 0 | 0 | 0 | 0 | 0 | -0.1 | 0 | -0.1 | -0.1 | 0 | -0.4 |
| 2018 | -0.1 | -0.1 | 0 | -0.1 | -0.1 | 0 | -0.1 | 0 | -0.2 | -0.1 | 0 | 0 | -0.8 |
| 2019 | -0.2 | -0.2 | -0.2 | -0.2 | 0 | -0.2 | -0.1 | 0 | -0.2 | -0.2 | 0 | 0 | -1.3 |
| 2020 | 0 | 0 | -0.1 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | -0.1 |
| 2021 | 0 | 0 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-05-30 91.6 SPY 153. 0.0081 0.007 0.035 0.0891 0.196 0.367 0.420 GLD 64.7 -5.40e-3 -0.0077
2 2007-05-31 91.6 SPY 153. -0.001 0.00580 0.0313 0.0912 0.216 0.358 0.429 GLD 65.5 1.27e-2 0
3 2007-06-01 91.6 SPY 154. 0.005 0.02 0.0304 0.111 0.208 0.365 0.44 GLD 66.4 1.37e-2 0.0261
4 2007-06-04 91.6 SPY 154. 0.0001 0.0159 0.0249 0.122 0.197 0.367 0.437 GLD 66.5 1.50e-3 0.0246
5 2007-06-05 91.6 SPY 153. -0.004 0.0082 0.017 0.0987 0.190 0.357 0.471 GLD 66.4 -2.60e-3 0.02
6 2007-06-06 91.7 SPY 152. -0.0107 -0.0107 0.0059 0.088 0.194 0.355 0.451 GLD 66.4 6.00e-4 0.0261
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
